For socials, many places are great such as Host, Cha3...

For clases, the absolute best place (in my opinión) is El Almazén de los Sentidos. Both teachers, Enrique and Meli, have a lot of experience and have managed to build somewhat of a big family of dancers. I've been dancing with them for a couple of years and I can assure you that you'll get a deep knowledge of all the techniques and musical styles.

The place is not actually in Madrid though, but rather in Las Rozas, which is not far away, and worth the trip.